The exe file might be blocked and can't be installed when you download VPN Proxy Master via Microsoft Edge.
Please follow the steps below to solve the issue:
Step 1: Move the mouse cursor to the blocked content, and the "..." button (More options) will appear, as shown below:
Step 2: Click the "..." button (More options), and select "Keep" from the dropdown menu, as shown below:
Step 3: The window below will pop up after clicked the "Keep" button
Step 4: Click "Show more" and select "Keep anyway" as shown below:
Step 5: Once the download is completed, click "Open file" and you are ready to go!